A Midnight Clear(1992) [Paul 'Father' Mundy]: Shot to death by Gary Sinise during a staged skirmish. (Thanks to Dave and James)

Fatal Deception: Mrs. Lee Harvey Oswald (Marina's Story) (1993) [Lee Harvey Oswald]: Shot in the chest by Jack Ruby while being escorted by policemen. (The IMDB listing doesn't list anybody as playing Ruby, so I presume that the shooting is off-screen.) (I haven't seen this movie, but we're all familiar with the actual events...)

Swing Kids(1993) [Arvid]: Commits suicide by slashing his wrists with a broken record in the bathtub. (Thanks to Joseph)

Pulp Fiction (1994) [Brett]: Simultaneously shot in the chest by Samuel L. Jackson and in the back by John Travolta in his hotel room. (Thanks to Tal)

The Winner (1996) [Joey]: Shot in the chest in a shoot-out with Billy Bob Thornton in the casino; he dies shortly afterwards while trying to talk to Vincent D'Onofrio (who ignores him). (It's been a while since I've seen this movie, so my memory might be vague on the details.)

When Trumpets Fade(1998) [Medic Chamberlain]: Killed in combat with the German forces in the woods. (Thanks to Derek)

The Outer Limits: Zig Zag(2000) [Zig Fowler/Cliff Unger]: Playing a dual role, "Cliff" is killed in an explosion when the computer's self-destruct sequence is activated by a chip that "Zig" had placed in John Amos' hand. (Thanks to Stephen)

Cherry Crush(2007) [Wade Chandling]: Beaten to death with a log by Nikki Reed while Frank is attacking Jonathan Tucker. Nikki and Jonathan then carry his body across a stream and conceal it. (Thanks to Eric)

Vacancy(2007) [Mason]: Shot three times in the chest and stomach by Kate Beckinsale. (Thanks to ND)